Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
- 27 July 1992
- journal article
- research article
- Published by Cambridge University Press (CUP) in Probability in the Engineering and Informational Sciences
- Vol. 6 (3) , 391-408
- https://doi.org/10.1017/s0269964800002606
Abstract
This paper proposes a method that allows the construction of discrete-state Markov chains approximating an Ito-diffusion process. The transition probabilities of the Markov chains are chosen in such a way that functionals converge with a desired weak order with respect to vanishing step size under sufficient smoothness assumptions.Keywords
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